Pre-Market IV Report January 28, 2019

Pre-Market IV Report January 28, 2019

The following report is a snapshot of noteworthy changes in stock and option volumes, as well as changes in option implied volatilities. By monitoring this market data, traders can create strategies that capitalize on this often overlooked information.

Options expected to have increasing volume: VALE AA ARNC BHP FCX AMZN AAPL FB GOOG GOOGL PCF MSFT MCD CAT

Options with increasing option implied volatility: VALE CSIQ GIS OSTK CGC CLF NVAX YELP PCG OSTK PDD CRON SYMC

Vale (VALE) option implied volatility elevated following the breach of Vale dam in Brazil

Vale S.A. (VALE) January weekly call option implied volatility is at 51, February is at 45; compared to its 52-week range of 31 to 54 following the breach of the company’s dam in Brazil. Call put ratio 1 call to 1.5 puts.

BHP Billiton Ltd. (BHP) January weekly call option implied volatility is at 25, February is at 24; compared to its 52-week range of 24 to 54 following the breach of Vale’s (VALE) dam in Brazil. Call put ratio 1 call to 1 put.

Petrobras (PBR) January weekly call option implied volatility is at 33, February is at 34; compared to its 52-week range of 37 to 93 following the breach of Vale’s (VALE) dam in Brazil. Call put ratio 1 call to 1.9 puts.

iShares MSCI Brazil (EWZ) January weekly call option implied volatility is at 30, February is at 31; compared to its 52-week range of 26 to 65. Call put ratio 1.1 call to 1 put.

U.S. Steel (X) January weekly call option implied volatility is at 78, February is at 58; compared to its 52-week range of 34 to 64 into EPS and outlook on January 30. Call put ratio 1.3 calls to 1 put.

United States Natural Gas (UNG) February weekly call option implied volatility is at 55, February is at 53; compared to its 52-week range of 21 to 112. Call put ratio 2.7 calls to 1 put with focus on February 27 calls.

Straddle prices for stocks expected to report results this week

Advanced Micro Devices (AMD) February weekly 21 straddle priced for move of 14% into the expected release of EPS after the bell on January 29
AK Steel (AKS) February weekly 2.5 straddle priced for move of 12% into the expected release of EPS after the bell on January 29
3M (MMM) February weekly 192.50 straddle priced for move of 4% into the expected release of EPS before the bell on January 29
AFLAC (AFL) February weekly 47.50 straddle priced for move of 3.5% into the expected release of EPS on January 29
Allergan (AGN) February weekly 160 straddle priced for move of 4% into the expected release of EPS on January 29
Whirlpool (WHR) February weekly straddle priced for move of 8% into the expected release of EPS after the bell on January 29
Amgen (AMGN) February weekly 200 straddle priced for move of 4.5% into the expected release of EPS after the bell on January 29
Apple (AAPL) February weekly 157.50 straddle priced for move of 5% into the expected release of EPS after the bell on January 29
Biogen (BIIB) February weekly 337.50 straddle priced for move of 5% into the expected release of EPS on January 29

Brinker (EAT) February 45 straddle priced for move of 9% into the expected release of EPS on January 29

C.H. Robinson (CHRW) February weekly 85 straddle priced for move of 6% into the expected release of EPS after the bell on January 29
Canadian National Railway (CNI) February weekly 85 straddle priced for move of 5.5% into the expected release of EPS on January 29

Corning (GLW) February weekly 30 straddle priced for move of 6% into the expected release of EPS on January 29

Harley-Davidson (HOG) February weekly 37 straddle priced for move of 6% into the expected release of EPS on January 29
Danaher (DHR) February weekly 105 straddle priced for move of 4.5% into the expected release of EPS on January 29
EBay (EBAY) February weekly 33.50 straddle priced for move of 8.5% into the expected release of EPS after the bell on January 29
HCA Healthcare (HCA) February weekly 133 straddle priced for move of 5% into the expected release of EPS on January 29
Lockheed Martin (LMT) February weekly 287.50 straddle priced for move of 3.5% into the expected release of EPS on January 29
Microsoft (MSFT) February weekly 107 straddle priced for move of 4% into the expected release of EPS on January 29
Nucor (NUE) February weekly 58 straddle priced for move of 4.5% into the expected release of EPS on January 29
Pfizer (PFE) February weekly 41 straddle priced for move of 3.5% into the expected release of EPS on January 29
Polaris (PII) February 90 straddle priced for move of 10% into the expected release of EPS on January 29
Rockwell Automation (ROK) February 165 straddle priced for move of 6% into the expected release of EPS on January 29

Verizon (VZ) February weekly straddle 56.50 priced for move of 3% into the expected release of EPS on January 29

Xerox (XRX) February 25 straddle priced for move of 8% into the expected release of EPS on January 29
Alibaba (BABA) February weekly 160 straddle priced for move of 7% into the expected release of EPS on January 30
Allegiant (ALGT) February 120 straddle priced for move of 8% into the expected release of EPS on January 30
Alphabet (GOOG) February weekly 1090 straddle priced for move of 3% into the expected release of EPS after the market close on January 30
AT&T (T) February weekly straddle priced for move of 4.5% into the expected release of EPS before the open on January 30
Facebook (FB) February weekly 149 straddle priced for move of 7% into the expected release of EPS after the market close on January 30
Boeing (BA) February weekly 365 straddle priced for move of 4% into the expected release of EPS on January 30
Amazon.com (AMZN) February weekly straddle priced for move of 3.5% into the expected release of EPS on January 31

Increasing unusual option volume: RMD INDA PWR MTW TRP NRG

Increasing unusual call option volume: TRP VIAV MXEF INSM EPC WAB CNP NVRO BC CL GIS

Increasing unusual put option volume: NRG INDA RMD VALE PFF LOXO USAT
Popular stocks with increasing volume: VALE PCG CGC SBUX GE
Options with decreasing option implied volatility: SBUX INTC WDC CL ABBV DHI IMMU FDX UNP IBM JNJ CL
Active options: AAPL INTC MU GE VALE AMD BABA NVDA FB BAC NFLX PCG TSLA SQ AMZN F MSFT CGC SBUX JD